各位國內的xdjm,
我我是來自香港的一名CFA L3考生,
小弟現於香港某對沖基金負責風險管理, 我想我一點點的practical experience 可能會對大家有一點幫助吧
見大家為這道題爭得面紅耳赤, 所以忍不住也發表一下意見
我認為答案應該是 Futures,
理由很簡單, 我會practioner看 risk 是看 portfolio overall sensitivity to one market variables. Delta = 0 implies no risk.
如果你對市場沒有view, 你就要你的 portfolio delta = 0
在這裏，只有用 futures 才可以今 portolio delta = 0
The other combinations (options + underlying asset) all results in non-zero sensitivity to underlying prices
I have cross checked my answer with my firends working at other ibanks/fund hedge sitting for the same exam. Seems we have all choosen Futures.
Hope this can help | 
发表于 2010-6-11 10:46
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